reliable intraday chart data(?)

Discussion in 'Data Sets and Feeds' started by BertH, May 21, 2006.

  1. BertH

    BertH

    I really enjoy the use of stockcharts, but have come across a problem relating to intraday use. To hopefully make it clear, I'll paste my email and then the company's reply:

    When checking the hourly graphs on QQQQ, I noticed something odd and troubling, perhaps. When I made 3-9 be the end date, the last hour (3pm) candle shows the closing at 40.49 with its low of 40.44. But when I make 3-10 as the last day featured on the graph/chart, the same 3pm candle on 3-9 shows the CLOSE as 40.44.

    It's a concern, because it makes me wonder if there are other data errors that may change the look of the graphs based on the date I use as an end date. Hopefully, you can relay what happened to me and reassure that it's a rare occurrence.

    REPLY:
    The behavior you reported is actually deliberate and correct. The
    reasons for it are complex but I will try to explain them as clearly as I can.

    During market hours, the exchanges report intraday trades to us
    _as_they_occur_. Unfortunately, some of the trades that are reported are incorrect. This is very common during the hectic activities that occur at the exchanges during market hours. Typically, these reporting errors are due to a human incorrectly entering the trade information at the time of the trade. Once the market has closed, the exchanges audit all of the trades that have happened during the day. During that audit process, incorrect trades are found and eliminated. After that process is
    complete, the exchange issues the "final" closing numbers (the daily Open, High, Low, Close, and Volume) for each stock and index.

    The problem for us is that the exchanges do not issue corrected
    intraday data. Intraday data is _unaudited_ data that is only recorded while the market is open.

    So, if the exchange makes a correction to its "final daily numbers"
    which affects the daily closing value of a stock, we have a problem on our intraday charts: the daily "Close" quote at the top of our charts (which has been corrected by the exchange) doesn't match the close value for the final intraday bar of the chart (which has not been corrected).

    To fix that specific situation, we adjust the final intraday bar on our charts so that its closing value matches the (audited) daily closing value. By changing the ending date of your chart, you found a situation where this normally invisible process was visible.

    Because we do not have corrected data from the exchanges for our intraday datasets, we felt that this solution was the best way to get around the problem. Hopefully, if you understand this explanation, you can see why things work the way they do.

    The bottom line is that daily data is much more reliable than intraday data and chartists need to keep that in mind when analysing intraday charts.
    ___________________________________________________

    -I understand their explanation, except that it would seem if they changed the last bar of a day to match the audited, official close that this same new value for that last bar would still show even if it isn't the last day on the chart.
    Mainly, though, it makes me wonder if all intraday charts have some potentially significant inaccuracies.

    Any advice on whether that's true or if there are more reliable alternatives would be greatly appreciated!
     
  2. BertH

    BertH

    Gotta give it one "good ol' college try" to see if anyone has some input on this.

    Thanks in advance.